Question: Book: Statistics and Data Analysis for Financial Engineering Chapter 19, Exercise #3 Find a source of stock price data on the Internet and obtain daily

Book: Statistics and Data Analysis for Financial Engineering

Chapter 19, Exercise #3

Find a source of stock price data on the Internet and obtain daily prices for a stock of your choice over the last 1,000 days.

(choose AAPL as your stock from 2016-01-01 to 2020-11- 12)

  • (a)Assuming that the loss distribution is t, find the parametric estimate of VaR(0.025, 24 h).
  • (b)Find the nonparametric estimate of VaR(0.025, 24 h).
  • (c)Use a t-plot to decide if the normality assumption is reasonable.

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